Open AccessAsymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries
Author(s) -
Saliu Mojeed Olanrewaju,
Ogunleye Edward Oladipo
Publication year - 2021
Publication title -
business and economic research
Language(s) - English
Resource type - Journals
ISSN - 2162-4860
DOI - 10.5296/ber.v11i2.18481
Subject(s) - economics , real estate , recession , cointegration , boom , diversification (marketing strategy) , shock (circulatory) , stock (firearms) , portfolio , monetary economics , econometrics , asset (computer security) , error correction model , interest rate , financial economics , macroeconomics , finance , business , medicine , mechanical engineering , computer security , marketing , environmental engineering , computer science , engineering
This study examines the relationship between Asset prices (Stock and Real estate prices) and Macroeconomic variables in four selected African countries. The study employs the Westerlund Error Correction Based Panel Cointegration test and Eight-variable Structural Vector Autoregressive model to examine the relationship between asset prices and macroeconomic variables. Findings from the study confirm that no long-run relationship exists between both Asset prices and macroeconomic variables. The study equally reveals that portfolio diversification benefits of both stock and real estate markets are more pronounced in the period of a boom than the recession period in Africa. The results also show that GDP growth rate shock exerts a significant impact on both asset prices during expansion and recession periods. The study reveals that foreign interest rates and World oil price shocks are better predictors of both stock and real estate prices during the crisis period than in the expansion period.